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New methods with capped options for pricing american options
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نویسنده
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deng d. ,peng c.
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منبع
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journal of applied mathematics - 2014 - دوره : 2014 - شماره : 0
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چکیده
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We propose two new methods: improved binomial methods and improved least square montecarlo methods (lsm),for pricing american options. these two methods are developed using the nice capped options which have closed-form formulas. numerical examples are provided to verify that these two new methods are pretty efficient. © 2014 dongya deng and cuiye peng.
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آدرس
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school of finance,southwestern university of finance and economics, China, library,southwestern university of finance and economics, China
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Authors
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